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Changing correlation and equity portfolio diversification failure for linear factor models during market declines
Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 14 (2007) 3, pp. 227-242
Persistent link: https://www.econbiz.de/10003543026
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Cost of capital and regulator's preferences : investigation into a new method of estimating regulatory beta
Sancetta, Alessio (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002153214
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Calculating hedge fund risk : the draw down and the maximum draw down
Sancetta, Alessio; Satchell, Stephen - In: Applied mathematical finance 11 (2004) 3, pp. 259-282
Persistent link: https://www.econbiz.de/10002243487
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Bernstein approximations to the copula function and portfolio optimization
Sancetta, Alessio; Satchell, Stephen - 2001
Persistent link: https://www.econbiz.de/10001592277
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Changing correlation and portfolio diversification failure in the presence of large market losses
Sancetta, Alessio (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001764558
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The Bernstein copula and its applications to modelling and approximations of multivariate distributions
Sancetta, Alessio; Satchell, Stephen - In: Econometric theory 20 (2004) 3, pp. 535-562
Persistent link: https://www.econbiz.de/10002068268
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The small noise arbitrage pricing theory and its welfare implications
Satchell, Stephen - In: Linear factor models in finance, (pp. 150-158). 2005
Persistent link: https://www.econbiz.de/10003304035
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The validation of equity portfolio risk models
Satchell, Stephen - In: The analytics of risk model validation, (pp. 135-148). 2008
Persistent link: https://www.econbiz.de/10003868695
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Editorial: Decision making
Satchell, Stephen - In: The journal of asset management 14 (2013) 6, pp. 335
Persistent link: https://www.econbiz.de/10010258484